Modelando expectativas para títulos públicos nacionais: uma aplicação com modelos VAR

Abstract

Considering the timing with which the market and the economic and financial analysts require information about the evolution of the assets, this work provides subsidies to apply time series models to anticipate the return of Brazilian government bonds. Vector auto-regressive models are developed and estimated for the main assets in government securities market in 2011 and forecasts suggest that the government bonds indexed to the IPCA and fixed-rate bonds are more promising in return that the government securities post-fixed , a fact consistent with the current context of a world economy that emerges from a crisis scenario.